Infinite mixture garch

Modeling
1

Hello,
Is it possible to fit infinite mixture of GARCH in Stan?
I am looking to implement something like this:


I dont want infinite number of regimes. I can fix it to be 5 or more. Otherwise, I can also truncate the dirichlet process prior to a dirichlet distrubiton with large N(lets say 10). I will make it a point that I dont do inference on identifying hidden components but if there is a way to work out that, then definitely I can explore that posisbility too.

Thanks,
Anuj

2 Likes